Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0101 |
| Annualized Std Dev | 0.1566 |
| Annualized Sharpe (Rf=0%) | -0.0642 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1620 |
| Quartile 1 | -0.0034 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0039 |
| Maximum | 0.2333 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0099 |
| Skewness | 1.0293 |
| Kurtosis | 86.0038 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0071 |
| Gain Deviation | 0.0080 |
| Loss Deviation | 0.0086 |
| Downside Deviation (MAR=210%) | 0.0120 |
| Downside Deviation (Rf=0%) | 0.0071 |
| Downside Deviation (0%) | 0.0071 |
| Maximum Drawdown | 0.5878 |
| Historical VaR (95%) | -0.0128 |
| Historical ES (95%) | -0.0231 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-01-05 | 2008-12-16 | 2012-05-31 | -0.5878 | 3374 | 2504 | 870 |
| 2013-01-24 | 2020-03-18 | NA | -0.4263 | 2054 | 1800 | NA |
| 2012-08-02 | 2012-08-23 | 2012-12-03 | -0.0901 | 84 | 16 | 68 |
| 2012-12-04 | 2012-12-19 | 2013-01-14 | -0.0758 | 28 | 12 | 16 |
| 2012-06-01 | 2012-06-15 | 2012-07-02 | -0.0523 | 22 | 11 | 11 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.5 | 0 | -0.5 | 1 | 0.5 | 1 | -0.5 | 0 | -1.1 | -0.6 | 2.4 | -0.6 | 2.1 |
| 2000 | -0.6 | 0 | 1.2 | -1.2 | 0 | 1.1 | -1.1 | -0.5 | 0.6 | 0 | 0.6 | 0 | 0.1 |
| 2001 | 0.2 | 0.9 | 1.1 | -0.4 | 0.6 | 0.7 | 0.3 | -0.2 | 0.5 | 0.4 | 0.2 | 2.8 | 7.3 |
| 2002 | 1 | -0.6 | 0.8 | 0 | -0.2 | 0.4 | 0.7 | 0.7 | -0.2 | -0.1 | 0.6 | 0.6 | 3.8 |
| 2003 | -0.2 | 0.6 | -1.1 | -0.5 | 0.5 | 1.6 | -0.4 | 0.3 | 0.3 | 0.9 | 0.1 | 1.1 | 3.3 |
| 2004 | 0 | -0.1 | 0.2 | -0.4 | 0.1 | 0.3 | 0.1 | -0.1 | -0.2 | 0.3 | 0.1 | 0.4 | 0.8 |
| 2005 | -0.4 | 0.2 | 1.1 | 0.5 | 0 | -0.1 | 0.2 | 0.4 | 0.4 | -0.6 | -0.4 | -0.2 | 1.1 |
| 2006 | 0.5 | -0.3 | 0.4 | -0.4 | 0.4 | 0.8 | 0.4 | 0.1 | -0.1 | -0.1 | 0.2 | 0.4 | 2.3 |
| 2007 | -0.3 | -0.3 | -0.1 | -0.2 | -0.1 | 0.3 | 0.1 | 0.1 | -0.1 | 0.2 | -0.1 | 1 | 0.5 |
| 2008 | 0.3 | -2 | 1.1 | 0.3 | 0.1 | -0.2 | -0.2 | 0.6 | 2.9 | -4.1 | -2.7 | 1.7 | -2.3 |
| 2009 | 0.6 | 0.3 | 0.5 | 1.4 | 0 | 0.1 | 0.6 | -0.3 | 0.7 | -1 | -0.2 | 0.1 | 2.9 |
| 2010 | 0.1 | -0.2 | 1.2 | -0.6 | 0.5 | 0 | 0.1 | -0.2 | 0 | -0.6 | -2.7 | 3.9 | 1.4 |
| 2011 | -0.2 | 2.2 | -0.2 | 0.2 | -1.2 | 0.8 | 1.4 | -0.2 | 0.5 | -0.6 | 0.8 | 0.9 | 4.6 |
| 2012 | 0.1 | 0.6 | 0.7 | 0.1 | -0.2 | 0.9 | 0.7 | 0.8 | 0.9 | -0.3 | 0.6 | -0.6 | 4.3 |
| 2013 | -0.4 | -0.1 | -0.6 | 0 | -1.6 | 0 | -1.2 | -0.2 | -0.6 | -1.5 | 0.1 | -0.4 | -6.4 |
| 2014 | 0.2 | -0.3 | 0 | 0.9 | 0.3 | 0 | 0.1 | 0.4 | 0.2 | 0.1 | 0.1 | -0.1 | 1.7 |
| 2015 | 0.1 | 0.7 | 0.3 | -0.9 | -0.2 | -0.3 | 0.5 | 0.1 | 0.4 | 0.3 | 0.3 | 0.2 | 1.5 |
| 2016 | 0.4 | 0.6 | 0.1 | 0.1 | 0 | 0.1 | -0.2 | 0.3 | -0.6 | 0.8 | -0.7 | -0.2 | 0.7 |
| 2017 | -0.7 | -0.5 | 0.4 | 0 | 0.1 | 0.2 | 0.1 | -0.2 | -0.3 | -0.1 | 0.1 | 0.1 | -1 |
| 2018 | -0.6 | -0.2 | 0 | 0.4 | 0 | 0.1 | -0.2 | 0.1 | 0 | 0.3 | 0.3 | 0.4 | 0.5 |
| 2019 | -0.2 | 0.2 | -0.2 | 0.5 | 0.5 | 0 | 0.4 | 0.4 | -0.1 | -0.2 | 0.5 | 0.1 | 2.1 |
| 2020 | 0.3 | -1.5 | -3.6 | 0.1 | 0.7 | -0.1 | -0.2 | 0 | 0.1 | 0 | 0.5 | 1.2 | -2.4 |
| 2021 | -0.1 | -0.1 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
